Mauro Aliano

Long Term Patterns of European Accumulation and Growth: Europe at a Turning Point

The current transitional paths of the Euro Area countries can be seen as a turning point between two alternative scenarios: (i) a low decline path (although no secular stagnation), where markets saturation features and trends dynamically interact with a growing share of finance disentangled from the real economy; (ii) an evolution towards self -sustained growth trajectories bundles, where feasible economic and institutional improvements are set in place. In order to capture such a turning point, we adopt a new approach to understand the Saving-Investment Feldstein–Horioka puzzle, developing a model based on the investigation on the time-growth varying surfaces of the Average Propensity to Save (APS) and the Average Propensity to Invest (API). The related specification econometrics, a sort of Colander “Craftsmen’s approach” that includes a la MIMIC estimates of the real rate of depreciation of social overhead capital stock, requires only the hypotheses of adaptive behaviour and stock-flow feedback loops. The results are consistent with the current instability of the Euro Area and show (and measure) to what extent small institutional changes and a limited set of operators can shift the overall trajectories of the EU system.

Incapability or bad luck? Testing the 'bad management' hypothesis in the Italian banking system

Using specific evidences from the Italian banking sector and following a microeconomic approach, in this chapter we test the “bad management” hypothesis first introduced by Berger and Deyoung (1997), which suggest that poor managerial practice causes an increase in problem loans after a lag. The chapter gives a contribution to the existing literature in this field, in that it investigates nonperforming loans (NPLs) and other soured loans jointly. Our results confirm the “bad management” hypothesis, in that we discover a positive (lagged) relation between the value of past due/overdrawn loans and NPLs which, in a management perspective, indicates the incapability of the credit manager to anticipate or to recover (at least partially) problematic credits.

Credit Supply and Bank Interest Rates in the Italian Regions

This chapter offers a synthesis of the characteristics of the demand and supply of credit at the regional level in Italy. The various analyses are conducted using data from the Bank of Italy, ISTAT (Italian National Institute of Statistics) and Prometeia, and cover the 2010–2014 period. In particular, the loan supply for northern regions seems more proportionate and readily responsive to household and firm needs. The interdependence between the dynamics of price formation and credit quality, captured by a vector autoregression for panel regressions, is also significant, with an intensity that varies according to loan maturity and the evolution of economic and financial variables. This result highlights an amplified, negative relationship between interest spreads and credit quality.

Corporate Bonds for SMEs: A Study of Italian Minibonds

Starting in 2013, Italian small- and medium-sized enterprises (SMEs) can issue so-called ‘minibonds’. Such an instrument allows firms to diversify their funding sources, as they primarily rely on banking channels. By combining firm-level data gathered from Aida, supplied by Bureau van Dijk, with hand-collected data from specific firm reports, a quali/quantitative analysis is offered of firms issuing minibonds from January 2013 to June 2015. This study demonstrates that the observed firms differ not only in operating conditions and issuance motivations but also in their financial and economic characteristics. Finally, we offer some policy implications, aimed at improving the ability of such financial instruments to satisfy SME financial needs.

Why Do US Banks React Differently to Short Selling Bans

Financial crisis brought significant decreases in market indices, led to active selling of stocks, and raised the possibility of a total collapse. Short selling ban was expected to bring lower stock price volatility and raise investor’s confidence. In this context, a policy intervention can change the net expected present value of an individual bank, basically because such kind of interventions aims to reduce the speculative selling pressure on a single title stock, according to policy regulators. Consequently, it should calm down the price reduction and net expected present value of every single stock. Second, the intervention may reduce both volatility and probability of default of financial companies.

The Potential Evolution of the Supply of Credit to the Productive Chain: A Focus on Italy and the Regional Sardinian Economy

The analysis performed in this chapter aims to define the dynamics of the demand for and supply of credit for the regional Sardinian economy, compared to other Italian regions, during the period from 2002 to 2013. Typical methodologies for the analysis of financial series (velocity and momentum indicators), as well as the methodologies for spatial analysis (principal component analysis, cluster analysis and specialisation indexes), have been employed for this purpose. Based on a sample of macro- and micro-data—the latter being related to 19,000 firms—our analysis highlights the existence of some high-performing industry segments, such as Lodging, Food and Food Services (LFFS). Overall, our results show undeniable criticalities with regard to the allocative efficiency of banks. For the most recent years of the sample, banks severely shrank the credit supply towards the most dynamic sectors, exhibiting instead an increasing credit specialisation towards weaker performing sectors, which are characterised by high rates of impaired loans.

Asian Fund Manager Performance: Factor Specialisation and Financial Crisis Impact

This paper investigates the relation between portfolio concentration and the performance of emerging market equity funds. We focus on Asian emerging markets finding that funds with higher levels of tracking error display lower performance than funds with less diversified portfolios. According to a study conducted previously, overall we found that the local factor market model provides quite a good representation of local average returns for portfolios formed on the basis of size and style factors. On the other hand unlike a number of other preceding studies, we find that Asian (excluding Japan) equity funds with higher levels of tracking error and more concentrated portfolios display lower performance than funds with less diversified portfolios. Moreover, as an additional analysis beyond what has been conducted in previous papers, we also tested the effects of the financial crisis, finding that the main result has not affected by it.

Alternative Neural Network Approaches for Enhancing Stock Picking Using Earnings Forecasts

Interest in financial markets has increased in the last couple of decades, among fund managers, policy makers, investors, borrowers, corporate treasurers and specialized traders. Forecasting the future returns has always been a major concern for the players in stock markets and one of the most challenging applications studied by researchers and practitioners extensively. Predicting the financial market is a very complex task, because the financial time series are inherently noisy and non-stationary and more it is often argued that the financial market is very efficient. Fama (1970) defined efficient market hypothesis (EMH) where the idea is a market in which security prices at any time ‘fully reflect’ all available information both for firms’ production—investment decisions, and investors’ securities selection. Furthermore, in EMH context no investor is in a position to make unexploited profit opportunities by forecasting futures prices on the basis of past prices. On the other hand, a large number of researchers, investors, analysts, practitioners etc. use different techniques to forecast the stock index and prices. In the last decade, applications associated with artificial neural network (ANN) have drawn noticeable attention in both academic and corporate research.